Journal of Jilin University Science Edition ›› 2020, Vol. 58 ›› Issue (5): 1119-1129.
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XUE Guangming, LIN Funing
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Abstract: We used two-point G-J method and three-point G-J method to discretize Bermuda option based on the jump diffusion stochastic volatility model, gave the pricing of American barrier option and American option, and gave the numerical calculation and the result analysis.
Key words: jump diffusion model, stochastic volatility, Girsanov measure transformation, barrier option, Fourier inverse transform
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XUE Guangming, LIN Funing. Pricing of American Options and American Barrier Options with Jump Stochastic Volatility Model[J].Journal of Jilin University Science Edition, 2020, 58(5): 1119-1129.
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URL: http://xuebao.jlu.edu.cn/lxb/EN/
http://xuebao.jlu.edu.cn/lxb/EN/Y2020/V58/I5/1119
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